本研究旨在探討亞歐美三洲主要股市之報酬與波動之外溢效果，並觀察2008年金融海嘯事件是否導致外溢效果產生改變。研究範圍由2000年1月4日至2010年10月29日，研究對象分別選定代表日本、韓國、新加坡、台灣、中國、香港、法國、德國、美國十國之股價指數，並將之轉換為日收盤價報酬率進行分析。文中試圖以計量方法來捕捉各國股市間之互動關係，將日報酬資料考慮開盤的先後順序進行調整，用以探討亞歐美三洲股市之報酬外溢效果，並以兩階段AR-GARCH方法討論報酬波動外溢效果。
實證結果發現，亞洲國家股市之報酬外溢效果，在金融海嘯前受美國股市影響大，但金融海嘯過後，美股對於亞股之影響力不如以往，反倒是日韓兩國股市影響亞洲各股市更深，由此可見日韓兩國股市影響亞洲國家股市之持續程度大於美國，我們更能由波動外溢效果看出日本最易影響其他市場波動，但最不易受其他股市影響。歐洲股市則較為開放，其報酬外溢廣泛受各股市之顯著影響，即便發生金融海嘯亦是如此。美國的報酬外溢效果則是在金融海嘯過後，不受其他國家之顯著影響。本研究更發現某些股市會受到當地因素影響而產生規律的季節性波動變化，但波及全球金融之重大事件仍為主要影響各股市波動之最大因素。

This study examines return and volatility spillovers across North American, European and Asian stock markets for the period of 4th January 2000 to 29th February 2010, and further observes whether the global financial crisis causes return and volatility spillovers change among these stock markets. The stock returns investigated are daily ones of ten country indices, including Japan, South Korea, Singapore, Taiwan, China, Hong Kong, UK, French, Germany and United States. The return spillover effects of North American, European and Asian are analyzed respectively by using a straight VAR model and an AR/VAR model, which takes accounts of different market opening times of the country stock markets in question. Volatility spillover effects are analyzed through two-step AR-GARCH.
The results show that Asian markets are mostly influenced by U.S. market before the global financial crisis, but not so after that. Some Asian markets like Japan and South Korean have more influence than other Asian Markets. Japan market has the least price spillovers from other markets, but is the most influential in volatility spillovers to the other East Asian markets. Even after the global financial crisis, European Markets are still significantly influenced by other markets. Though the stock markets investigated incur their own regional/seasonal influences, but global financial events still have dominant influence on global volatility.

第一章 緒論 1
第一節 研究動機 1
第二節 研究目的 3
第三節 研究對象 4
第四節 章節架構與研究流程 8
第二章 文獻回顧 9
第三章 研究設計與方法 12
第一節 單根檢定 (Unit Root Test) 12
第二節 最適落後期數之選取準則 15
第三節 序列相關檢定 16
第四節 ARCH-LM條件變異數異質性檢定 17
第五節 未考慮開盤先後順序與考慮開盤先後順序之模型 18
第六節 兩階段AR-GARCH模型 21
第四章 實證結果與分析 23
第一節 資料來源、研究期間與變數處理方式 23
第二節 敘述性統計 25
第三節 單根檢定結果 27
第四節 最適落後期數選取結果 30
第五節 序列相關檢定結果 31
第六節 ARCH-LM 變異數異質性檢定結果 33
第七節 報酬外溢效果實證分析 35
第八節 波動外溢效果實證分析 48
第五章 結論與建議 56
第一節 研究結論 56
參考文獻 58
一、中文部分 58
二、英文部分 58

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